09-03-2018, 12:20 AM
Did pretty much trailing stop loss coding/testing last days. Just adding it into any existing strategy will optimize a couple of percent, at least what I have tested. So I was thinking of a strategy to take real advantage of this feature. @askmike, what are your use cases for this feature?
I started looking to catch strong price drops to take advantage of bounce backs by buying with a trailing stop loss. The closest thing I found so far for this was the PPO indicator, to get the crossing lines of two EMAs together with a price power info, e.g. buy on macd when ppo is < -1.5 with the goal to catch a percent on the re bounce. Often this lead to roundtrips of -0.8% or -1.1%. The buy advice was with SL 2%, so it turned out that the price made +1.2% and +0.9% but the 2% trailing dropped it into the negative direction. Therefor I implemented a trailing stop loss with target class. So you specify your target gain with the trigger, e.g. a target of +1% and the trailing will narrow when the target is reached. So it starts with a trailing of 2% for example and narrows the trailing to 0.2% when the price reaches 1.2% gain. So the price is still able to climb and trails but on a further small price drop it will sell and save the target gain.
This turned the strategy into positive values, but there is still optimization need for the buy strategy since gains are to small. BTW: It was also a good testing for the 1 minute candles passed into the strategy. The above approach used 4 different candle sizes batched from the 1 min events. Any brainstorming/ideas for getting good buy signals for buying with trailing stop losses will be great...
I started looking to catch strong price drops to take advantage of bounce backs by buying with a trailing stop loss. The closest thing I found so far for this was the PPO indicator, to get the crossing lines of two EMAs together with a price power info, e.g. buy on macd when ppo is < -1.5 with the goal to catch a percent on the re bounce. Often this lead to roundtrips of -0.8% or -1.1%. The buy advice was with SL 2%, so it turned out that the price made +1.2% and +0.9% but the 2% trailing dropped it into the negative direction. Therefor I implemented a trailing stop loss with target class. So you specify your target gain with the trigger, e.g. a target of +1% and the trailing will narrow when the target is reached. So it starts with a trailing of 2% for example and narrows the trailing to 0.2% when the price reaches 1.2% gain. So the price is still able to climb and trails but on a further small price drop it will sell and save the target gain.
This turned the strategy into positive values, but there is still optimization need for the buy strategy since gains are to small. BTW: It was also a good testing for the 1 minute candles passed into the strategy. The above approach used 4 different candle sizes batched from the 1 min events. Any brainstorming/ideas for getting good buy signals for buying with trailing stop losses will be great...